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Portfolio selection via replicator dynamics and projections of indefinite estimated covariancesBomze, Immanuel January 2000 (has links) (PDF)
Replicator dynamics are an increasingly popular device for obtaining (local) solutions of considerably high quality to so-called standard quadratic optimization problems, which consist of finding maxima of (possibly indefinite) quadratic forms over the standard simplex. In the simplest version of portfolio selection, the quadratic form is theoretically negative-semidefinite, so that any local solution automatically is a global one. However, if it comes to more realistic set-ups, then (i) no market portfolio is available, so that one ends up with an indefinite theoretical problem, (ii) estimated covariance matrices modelling risk may be indefinite also. This paper deals with both problems in a different way: (i) will be solved via escape steps to avoid low-quality local solutions while (ii) is dealt with by several projection strategies which convert the indefinite estimated covariance matrix into a positive-semidefinite one. (author's abstract) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
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Integrierte Vermögensverwaltung für Unternehmenseigentümer /Niess, Andreas. January 1995 (has links)
Hochsch. für Wirtschafts-, Rechts- und Sozialwiss., Diss.--St. Gallen, 1994.
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Fund and manager characteristics : determinants of investment performance /Brown, Warren Gerard Pearce. January 2008 (has links)
Dissertation (PhD)--University of Stellenbosch, 2008. / Bibliography. Available via the Internet.
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Why don't investors have large positions in stocks? : a robustness perspective /Lei, Chon Io. January 2001 (has links)
Thesis (Ph. D.)--University of Chicago, Dept. of Economics, June 2001. / Includes bibliographical references. Also available on the Internet.
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Incentives for money managers under endogenous risk choice /Jiang, Wei. January 2001 (has links)
Thesis (Ph. D.)--University of Chicago, Dept. of Economics, June 2001. / Includes bibliographical references. Also available on the Internet.
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Data mining and optimization applications in customer portfolio management in the credit card industry /Chatterjee, Abhijit, January 2003 (has links)
Thesis (Ph. D.)--University of Texas at Austin, 2003. / Vita. Includes bibliographical references.
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Portfolio selection in continuous time : analytical and numerical methods.Filitti, Constantin Alexandru. January 2004 (has links)
Thesis (doctoral)--Hochschule St. Gallen für Wirtschafts-, Rechts- und Sozialwissenschaften, 2004.
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Accounting-based and market-based trading strategies /Kraft, Arthur Gerald. January 2001 (has links)
Thesis (Ph. D.)--University of Chicago, Graduate School of Business, August 2001. / Includes bibliographical references. Also available on the Internet.
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Pricing portfolio credit derivativesHerbertsson, Alexander. January 2007 (has links) (PDF)
Disputats, Göteborg 2007. / Includes bibliographical references.
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Portfolio construction and risk management practical issues and examples.Gao, Pan. January 2003 (has links)
Thesis (M.S.)--Worcester Polytechnic Institute. / Keywords: Finance; risk management; portfolio theory. Includes bibliographical references.
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